| --- |
| license: other |
| task_categories: |
| - time-series-forecasting |
| tags: |
| - finance |
| - a-share |
| - qlib |
| - investment-data |
| pretty_name: A-share qlib context data for 600809.SH |
| --- |
| |
| # A-share qlib Context Data for 600809.SH |
|
|
| This dataset is prepared from qlib-compatible data, especially the community data source `chenditc/investment_data` recommended by qlib while the official CN dataset is unavailable. |
|
|
| Source reference: https://github.com/chenditc/investment_data |
| |
| ## Coverage |
| |
| - Stock: `600809.SH` |
| - Benchmark: `000300.SH` |
| - Date range exported: `20250102` to `20260424` |
| |
| ## Tables |
| |
| - `data/qlib_daily`: raw daily qlib fields available for the stock, such as open, high, low, close, volume, amount, factor. |
| - `data/qlib_factors_daily`: derived daily context features computed from historical data only. |
| - `data/benchmark_daily`: raw daily qlib fields for the benchmark, when provided. |
| - `data/outcome_targets`: automatically computed future return and risk targets. These are outcome targets, not labels for main-force orders. |
|
|
| ## Price Adjustment and MA Check |
|
|
| For the `chenditc/investment_data` qlib provider, qlib `open/high/low/close` are modeling-oriented normalized feature prices. They should be kept with `factor`, and they should not be described as standard broker front-adjusted or back-adjusted prices without validation. This exporter keeps both concepts explicit: |
|
|
| - `feature_close = close` |
| - `display_close = close / factor` |
| - `ma5_display_close = rolling_mean(display_close, 5)` |
|
|
| Sanity check from the local qlib data: for 山西汾酒 `600809.SH` on `2026-04-22`, the five display closes ending that day are approximately `141.16, 139.50, 138.87, 136.86, 136.91`, so `ma5_display_close = 138.66`. This matches the broker-style MA5 quoted by the user. Use qlib `close`/`feature_close` for modeling features, and use `display_*` fields when comparing to broker screens or business-facing price displays. |
|
|
| ## Leakage Policy |
|
|
| `qlib_factors_daily` only uses same-day and historical data. `outcome_targets` uses future prices and must only be used as supervised targets or evaluation fields. |
|
|
| There are no ground-truth labels for "main force orders" here. TWAP/VWAP/iceberg/protection patterns should be engineered from Level-2 data separately and joined by `ts_code` + `trade_date`. |
|
|
